AMGL[Strategy] vs INav[Benchmark]

22 Jul, 2025 - 1 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	99.0%
Cumulative Return	22.58%	22.88%
CAGR﹪	107.21%	109.02%
Sharpe	3.18	1.58
Prob. Sharpe Ratio	90.18%	64.05%
Smart Sharpe	2.78	1.37
Sortino	5.31	2.7
Smart Sortino	4.62	2.35
Sortino/√2	3.75	1.91
Smart Sortino/√2	3.27	1.66
Omega	1.75	1.75
Max Drawdown	-10.72%	-14.76%
Longest DD Days	11	52
Volatility (ann.)	20.0%	46.16%
R^2	0.16	0.16
Information Ratio	-0.01	-0.01
Calmar	10.0	7.39
Skew	-0.05	2.07
Kurtosis	1.98	25.46
Expected Daily	0.27%	0.28%
Expected Monthly	4.16%	4.21%
Expected Yearly	22.58%	22.88%
Kelly Criterion	23.0%	36.48%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.79%	-4.47%
Expected Shortfall (cVaR)	-1.79%	-4.47%
Max Consecutive Wins	4	8
Max Consecutive Losses	3	4
Gain/Pain Ratio	0.86	0.6
Gain/Pain (1M)	23.94	80.22
Payoff Ratio	1.31	1.61
Profit Factor	1.86	1.6
Common Sense Ratio	2.88	1.6
CPC Index	1.37	1.57
Tail Ratio	1.55	1.0
Outlier Win Ratio	5.14	3.88
Outlier Loss Ratio	5.44	3.17
MTD	0.48%	0.11%
3M	23.67%	23.29%
6M	22.58%	22.88%
YTD	22.58%	22.88%
1Y	22.58%	22.88%
3Y (ann.)	107.21%	109.02%
5Y (ann.)	107.21%	109.02%
10Y (ann.)	107.21%	109.02%
All-time (ann.)	107.21%	109.02%
Best Day	4.31%	18.48%
Worst Day	-3.92%	-12.81%
Best Month	13.62%	13.53%
Worst Month	-0.88%	-0.34%
Best Year	22.58%	22.88%
Worst Year	22.58%	22.88%
Avg. Drawdown	-1.55%	-3.32%
Avg. Drawdown Days	4	14
Recovery Factor	2.11	1.55
Ulcer Index	0.03	0.07
Serenity Index	1.3	0.45
Avg. Up Month	5.57%	5.49%
Avg. Down Month	-0.88%	-0.34%
Win Days	56.34%	60.81%
Win Month	80.0%	80.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.17	-
Alpha	0.57	-
Correlation	39.81%	-
Treynor Ratio	90.32%	-